assetHistory(string Name, int Mode): int

Parameters:

Returns:

Remarks:

• Price history is normally only downloaded in the INITRUN. For downloading data in the middle of a trading session or simulation, use either the OVERRIDE flag or the dataDownload function.
• If the VOLATILE flag is not set, price history is stored in the History folder under Name plus .t6 extension for D1 data, or Name plus .t1 for T1 data. Tick or M1 data downloaded from a broker is split into separate years, EOD data or data from an online source is stored in a single file. The Quandl database name, an appended ".US" by Stooq, and '/', '.', or ':' characters are automatically stripped from the historical data file names. If the name is otherwise different to the asset name, use file_copy to copy the downloaded file to the correct asset name (f.i. file_copy("History\\ICE.t6","History\\LONDONICE.t6").
• Price history is loaded either for the number of recent years given by NumYears, or for all years between StartDate and EndDate. If a price history file already exists, or if NumYears is set to -1, no price data is downloaded. If the price history of the current year is not up to date, new price data from a broker source is appended at the begin of the existing file. Make sure that the time resolution of the downloaded prices matches the resolution of the historic data files - the included files are based on 1-minute data. D1 price data is stored in a single .t6 file that can go back until 1990. For testing only parts of a multi-year .t6 file, use an 8-digit StartDate or EndDate.
• The raw .csv data from websites (Google, Quandl, etc) is stored in History\history.csv. If the price source does not deliver price data, but some error message instead, a "Bad file format" error is displayed, and the error message is then contained in the downloaded History\history.csv file. The function will attempt twice to download the data before giving up.
• Check the correct spelling of the asset name or code. Spelling often differs slightly, f.i. the same stock can be named BRK.B, BRK_B, BRK-B, or BRK-B.US dependent on the website or price source.
• Outliers in the price history are automatically fixed dependent on the Outlier variable.
• When downloading data from a broker, the asset is subscribed automatically (if possible via API). The recent values of the asset's Spread, PipCost, etc. are updated to the Assets.csv file even if no price history is downloaded. This way new assets can be added and available assets can be set up to their current parameter values for further simulations.
• For backtesting price history, BarPeriod can not be less than one price history bar. Set it to 1440 for testing D1 price data.
• A price history file with length 0 prevents downloading prices for that particular year. This way, by storing a 0-byte file, price data that is not available or that is of bad quality can be excluded from download attempts and from the backtest.
• For using the newest prices, load the price history before calling asset(), otherwise the asset will use the existing price data files. Use UpdateDays for calling assetHistory automatically to keep the price history up to date.
• For T1 data, the price server of the broker must support quote-based price data; this is the case for FXCM, but not for Oanda, IB, or for most MTR4 brokers. Dependent on the price server speed, downloading T1 quotes can take a long time, such as a whole day for one year of price quotes. If the LEAN flag is not set, ask and bid prices are stored in the .t1 file, otherwise only ask prices. 
• For trading with brokers that do not support historical prices in their API at all, set the PRELOAD flag and use assetHistory() for downloading recent historical data prior to the first asset call. This works for D1 data only.
• Some comments about the data providers:
  • Google prices are adjusted for splits only, unadjusted prices are not available. Google download is known to fail on certain assets for no apparent reason, even though they can be downloaded manually.
  • Yahoo data is loaded in an 'inofficial' way (don't tell them!). Prices are split and dividend adjusted; UNADJUSTED prices are still split adjusted.
  • AlphaVantage data loads relatively slow when there is much traffic. The data is of good quality. The AV API key must be present in Zorro.ini.
  • Stooq normally requires a currency identifier appended to the asset name. If it is missing, ".US" is automatically appended. The data loads fast and is of good quality. There is a tight limit to the number of downloads per day, identified through the IP address.
  • Quandl data from the WIKI (stocks), CHRIS/CME and CHRIS/ICE (futures), BITFINEX and GDAX (Bitcoin and other cryptocurrencies) EOD databases are supported. Other Quandl databases in different formats can be downloaded with the dataDownload function. Quandl data loads fast and is of good quality. The Quandl key must be present in Zorro.ini and the asset's database code (f.i. "WIKI/AAPL") must be passed to Name.
  • Bittrex provides recent price history for a large number of cryptocurrencies. Format: BTC-ETH returns ETH prices in BTC. The history length is normally several years for D1 data, several months for H1 data, and several days for M1 data. It is recommended to insert a 4 seconds delay between subsequent loadHistory calls.
• CryptoCompare provides recent price history for almost all existing cryptocurrencies. Format: ETH/BTC returns ETH prices in BTC. The history length is up to 3 years for D1 data, 1 year for H1 data, and 1 month for M1 data. Because digital currencies are not traded at a central exchange, CryptoCompare prices can be slightly different to the Bittrex prices.
• MTR4 servers usually have no long price history, so the command will print an error message or only partially download the history.
• Some brokers, such as IB, also provide only limited price history, and the download is slow. FCXM servers provide price history from 2002 for currencies, and from 2008 for some CFDs. Before downloading prices, check if they are already available in the History folder or on the Zorro download page.

Example:

// Update M1 price history of all assets
function run()
{
  NumYears = 2;
  while(loop(Assets))
    assetHistory(Loop1,1);
  quit();
}

// Download D1 prices from Quandl
function run()
{
  ...
  string Name;
  while(Name = loop("AAPL","MSFT","GOOGL")) {
    assetHistory(strf("WIKI/%s",Name),FROM_QUANDL);
    asset(Name);
    ...
  }
  ...
}

// Download and plot Bitcoin prices from Bitfinex
function run()
{
  BarPeriod = 1440;
  assetHistory("BITFINEX/BTCUSD",FROM_QUANDL);
  assetAdd("BTCUSD");
  asset("BTCUSD");
  set(PLOTNOW);
}

See also: